Some Remarks on T-copulas

Details Some Remarks on T-copulas Some Remarks on T-copulas

2010-05-24

arxiv.org/abs/1005.4456v1

Economy

Quantitative Finance

Risk Management

15 pages, 7 figures. Submitted to QMF2010

Scientific paper

We examine three methods of constructing correlated Student-$t$ random
variables. Our motivation arises from simulations that utilise heavy-tailed
distributions for the purposes of stress testing and economic capital
calculations for financial institutions. We make several observations regarding
the suitability of the three methods for this purpose.

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